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An application of Malliavin Calculus to Finance

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Author Info
Arturo Kohatsu-Higa
Miquel Montero

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Abstract

In this article, we give a brief informal introduction to Malliavin Calculus for newcomers. We apply these ideas to the simulation of Greeks in Finance. First to European-type options where formulas can be computed explicitly and therefore can serve as testing ground. Later we study the case of Asian options where close formulas are not available. The Greeks are computed through Monte Carlo simulation.

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File URL: http://arxiv.org/abs/cond-mat/0111563
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File URL: http://arxiv.org/pdf/cond-mat/0111563
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Paper provided by arXiv.org in its series Quantitative Finance Papers with number cond-mat/0111563.

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Date of creation: Nov 2001
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Publication status: Published in Physica A 320 (2003) 548 -- 570
Handle: RePEc:arx:papers:cond-mat/0111563

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Web page: http://arxiv.org/

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  1. Eric Fournié & Jean-Michel Lasry & Pierre-Louis Lions & Jérôme Lebuchoux & Nizar Touzi, 1999. "Applications of Malliavin calculus to Monte Carlo methods in finance," Finance and Stochastics, Springer, vol. 3(4), pages 391-412. [Downloadable!] (restricted)
  2. Eric Fournié & Jean-Michel Lasry & Pierre-Louis Lions & Jérôme Lebuchoux, 2001. "Applications of Malliavin calculus to Monte-Carlo methods in finance. II," Finance and Stochastics, Springer, vol. 5(2), pages 201-236. [Downloadable!] (restricted)
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This page was last updated on 2010-1-7.

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